Luc Bauwens : Citation Profile


Are you Luc Bauwens?

Université Catholique de Louvain

24

H index

42

i10 index

2265

Citations

RESEARCH PRODUCTION:

50

Articles

163

Papers

1

Books

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   35 years (1983 - 2018). See details.
   Cites by year: 64
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 178.    Total self citations: 57 (2.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba4
   Updated: 2018-09-22    RAS profile: 2018-09-09    
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Relations with other researchers


Works with:

Dufays, Arnaud (7)

Storti, Giuseppe (4)

Korobilis, Dimitris (3)

Koop, Gary (3)

Braione, Manuela (3)

Otranto, Edoardo (2)

Carpantier, Jean-François (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

McAleer, Michael (77)

Caporin, Massimiliano (47)

Rombouts, Jeroen (35)

Maheu, John (35)

Asai, Manabu (29)

Stentoft, Lars (26)

Hafner, Christian (25)

Hautsch, Nikolaus (24)

van Dijk, Herman (21)

Lucas, Andre (21)

Chang, Chia-Lin (19)

Cites to:

Engle, Robert (75)

Bollerslev, Tim (38)

Rombouts, Jeroen (31)

Jasiak, Joann (20)

van Dijk, Herman (19)

Andersen, Torben (19)

Shephard, Neil (18)

Diebold, Francis (17)

Laurent, Sébastien (16)

Teräsvirta, Timo (16)

Hafner, Christian (14)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics10
Computational Statistics & Data Analysis5
Journal of Applied Econometrics3
Empirical Economics3
Econometrics Journal3
Annals of Economics and Statistics3
Journal of Applied Econometrics2
European Economic Review2
Econometric Reviews2
Journal of Business & Economic Statistics2
Journal of Empirical Finance2
International Journal of Forecasting2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Working Paper series / Rimini Centre for Economic Analysis2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Computing in Economics and Finance 2002 / Society for Computational Economics2

Recent works citing Luc Bauwens (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2017Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240.

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2017New Zealand’s Trade Prospects in an Uncertain Trans-Pacific Partnership (TPP) Environment: Results from Gravity Model. (2017). Tsang, Cheuk Yan ; Shakur, Shamim. In: 2017 Conference, October 19-20, Rotorua, New Zealand. RePEc:ags:nzar17:269528.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese . In: Papers. RePEc:arx:papers:1808.09666.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals. (2017). Pozzi, Lorenzo ; Sadaba, Barbara . In: Staff Working Papers. RePEc:bca:bocawp:17-22.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1175_18.

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2017The beneficial aspect of FX volatility for market liquidity. (2017). SHIM, ILHYOCK ; Koosakul, Jakree . In: BIS Working Papers. RePEc:bis:biswps:629.

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2017Accounting Research: A Bibliometric Analysis. (2017). Merigo, Jose M ; Yang, Jian-Bo. In: Australian Accounting Review. RePEc:bla:ausact:v:27:y:2017:i:1:p:71-100.

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2017ARE MIGRANTS MORE PRODUCTIVE THAN STAYERS? SOME EVIDENCE FROM A SET OF HIGHLY PRODUCTIVE ACADEMIC ECONOMISTS. (2017). Ruiz-Castillo, Javier ; carrasco, raquel ; Albarran, Pedro. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:3:p:1308-1323.

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2017Economists, Research Performance and National Inbreeding: North Versus South. (2017). Panagiotidis, Theodore ; Zontanos, Costas ; Katranidis, Stelios . In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:1:p:145-163.

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2017Converging in divergent ways. (2017). Dautovi, Ernest ; Schudel, Willem ; Orszaghova, Lucia. In: The Economics of Transition. RePEc:bla:etrans:v:25:y:2017:i:4:p:625-662.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Examining the Performance of the South African Economics Departments, 2005-2014. (2017). Yu, Derek ; Moses, Mariana ; Kasongo, Atoko. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:1:p:138-158.

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2017Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa. (2017). ALAGIDEDE, PAUL ; Maserumule, Tseke. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:405-429.

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2017Pre-sale information and hammer prices for Australian Indigenous art. (2017). Fry, Tim ; Farrell, Lisa. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:64:y:2017:i:5:p:483-500.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2.

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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2018Spatial Mobility in Elite Academic Institutions in Economics : the Case of Spain. (2018). Ruiz-Castillo, Javier ; carrasco, raquel ; Perea, Raquel Carrasco ; Ucelay, Javier Ruiz-Castillo. In: UC3M Working papers. Economics. RePEc:cte:werepe:26093.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

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2017The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy. (2017). Kalu O., Emenike. In: Eastern European Business and Economics Journal. RePEc:eeb:articl:v:3:y:2017:n:1:p:28-47.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2017Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). Katzke, Nico ; GUPTA, RANGAN ; Balcilar, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:63-72.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2018Auctions, market efficiency, and the trade in second-hand and antique silver. (2018). Draper, Paul ; Clacher, Iain ; de Ricquebourg, Alan Duboisee. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:45-48.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2018Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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2018Risk contribution of the Chinese stock market to developed markets in the post-crisis period. (2018). Yu, Honghai ; Du, Donglei ; Sun, Boyang ; Fang, Libing. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2017Oil prices and stock markets: Does the effect of uncertainty change over time?. (2017). Park, Sung Y. ; Joo, Young C. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:42-51.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2017Modeling urban building energy use: A review of modeling approaches and procedures. (2017). Li, Wenliang ; Zhang, Xuesong ; Chen, Gang ; Wang, YU ; Eom, Jiyong ; Cetin, Kristen ; Zhou, Yuyu. In: Energy. RePEc:eee:energy:v:141:y:2017:i:c:p:2445-2457.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Fard, Farzad Alavi ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2018Forecasting Chinas total energy demand and its structure using ADL-MIDAS model. (2018). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:420-429.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN ; Antonakakis, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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2018Identifying systemic important markets from a global perspective: Using the ADCC ΔCoVaR approach with skewed-t distribution. (2018). Fang, Libing ; Qian, Yichuo ; Yu, Honghai ; Chen, Baizhu. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:137-144.

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2018Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies. (2018). Dey, Shubhasis ; Sampath, Aravind. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:41-46.

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2018Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. (2018). Tsopanakis, Andreas ; Sogiakas, Vasilios ; MacDonald, Ronald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:17-36.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Forecasting with VAR models: Fat tails and stochastic volatility. (2017). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy). In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1124-1143.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2017Auction guarantees for works of art. (2017). Hamilton, Jonathan ; Graddy, Kathryn. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:133:y:2017:i:c:p:303-312.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2017Were regulatory interventions effective in lowering systemic risk during the financial crisis in Japan?. (2017). Ly, Kim Cuong ; Shimizu, Katsutoshi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:41:y:2017:i:c:p:80-91.

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2017Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Rizvi, Syed Aun R. ; Arshad, Shaista ; Aun, Syed . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308.

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2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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2017The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

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2018Complexity analysis based on generalized deviation for financial markets. (2018). Li, Chao ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:118-128.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Meegan, Andrew ; Corbet, Shaen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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2017Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

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2017Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach. (2017). Tsukuda, Yoshihiko ; Miyakoshi, Tatsuyoshi ; Shimada, Junji. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:193-213.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

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More than 100 citations found, this list is not complete...

Luc Bauwens has edited the books:


YearTitleTypeCited

Works by Luc Bauwens:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper24
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
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paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 24
paper
1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
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article1
1991Bayesian diagnostics for heterogeneity.(1991) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 1
paper
1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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article1
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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paper
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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article30
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 30
paper
1989BAYESLAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
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paper0
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
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article15
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: CORE Discussion Papers.
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paper
1994Estimating End-use Demand: a Bayesian Approach.(1994) In: CORE Discussion Papers RP.
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paper
1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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paper
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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article71
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: CORE Discussion Papers RP.
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paper
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
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article22
2007A component GARCH model with time varying weights.(2007) In: CORE Discussion Papers.
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paper
2009A component GARCH model with time varying weights.(2009) In: CORE Discussion Papers RP.
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paper
2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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paper
2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
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article11
2007The resistible decline of European science.(2007) In: CORE Discussion Papers.
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paper
2011The resistible decline of European Science.(2011) In: CORE Discussion Papers RP.
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paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
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paper
2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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paper
2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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paper39
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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article
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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paper
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
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paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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paper
2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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paper
1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: CORE Discussion Papers.
[Citation analysis]
paper28
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: CORE Discussion Papers RP.
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paper
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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article
1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: CORE Discussion Papers.
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paper0
1993Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: CORE Discussion Papers RP.
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paper
1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: CORE Discussion Papers.
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paper18
1996Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: CORE Discussion Papers RP.
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paper
1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: CORE Discussion Papers.
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paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: CORE Discussion Papers.
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paper0
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: CORE Discussion Papers.
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paper79
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: CORE Discussion Papers RP.
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paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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article
1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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paper
1997A Gibbs sampling approach to cointegration In: CORE Discussion Papers.
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paper5
1998Gibbs sampling approach to cointegration.(1998) In: CORE Discussion Papers RP.
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paper
1997Bayesian option pricing using asymmetric GARCH In: CORE Discussion Papers.
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paper3
1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
1997Modelling interest rates with a cointegrated VAR-GARCH model In: CORE Discussion Papers.
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paper5
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: CORE Discussion Papers.
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paper1
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: CORE Discussion Papers.
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paper3
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: CORE Discussion Papers.
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paper4
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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paper
2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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paper
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
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paper59
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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paper
2000Identifying long-run behaviour with non-stationary data. In: CORE Discussion Papers.
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paper0
2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
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paper89
2004A comparison of financial duration models via density forecasts.(2004) In: CORE Discussion Papers RP.
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paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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paper
2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
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paper33
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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paper
2003The moments of Log-ACD models In: CORE Discussion Papers.
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paper17
2009The moments of Log-ACD models.(2009) In: CORE Discussion Papers RP.
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paper
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: CORE Discussion Papers.
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paper78
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: CORE Discussion Papers RP.
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paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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article
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
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paper695
2006Multivariate GARCH models: a survey.(2006) In: CORE Discussion Papers RP.
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paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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article
2003Ranking economics departments in Europe: a statistical approach In: CORE Discussion Papers.
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paper92
2003Ranking economics departments in Europe: a statistical approach.(2003) In: CORE Discussion Papers RP.
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paper
2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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article
2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
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2007Bayesian clustering of many GARCH models.(2007) In: CORE Discussion Papers RP.
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paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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article
2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
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paper12
2005Exchange rate volatility and the mixture of distribution hypothesis In: CORE Discussion Papers.
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paper18
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: CORE Discussion Papers RP.
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2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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article
2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: CORE Discussion Papers RP.
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2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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2006Intra-daily FX optimal portfolio allocation In: CORE Discussion Papers.
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paper2
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models In: CORE Discussion Papers.
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paper13
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
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paper31
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: CORE Discussion Papers RP.
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2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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2006General to specific modelling of exchange rate volatility: a forecast evaluation In: CORE Discussion Papers.
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paper15
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: CORE Discussion Papers RP.
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2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
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2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: CORE Discussion Papers.
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paper6
2007Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: CORE Discussion Papers RP.
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2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews.
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2006Modelling financial high frequency data using point processes In: CORE Discussion Papers.
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2009Modelling financial high frequency data using point processes.(2009) In: CORE Discussion Papers RP.
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paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
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2007Efficient importance sampling for ML estimation of SCD models In: CORE Discussion Papers.
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2009Efficient importance sampling for ML estimation of SCD models.(2009) In: CORE Discussion Papers RP.
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2007Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2009Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis.
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2007Theory and inference for a Markov switching GARCH model In: CORE Discussion Papers.
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paper37
2010Theory and inference for a Markov switching Garch model.(2010) In: CORE Discussion Papers RP.
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paper
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
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2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
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2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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2009On marginal likelihood computation in change-point models In: CORE Discussion Papers.
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paper6
2012On marginal likelihood computation in change-point models.(2012) In: CORE Discussion Papers RP.
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2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
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2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
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2011Multivariate volatility modeling of electricity futures In: CORE Discussion Papers.
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2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Estimating and forecasting structural breaks in financial time series In: CORE Discussion Papers.
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2011Volatility models In: CORE Discussion Papers.
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2011Bayesian methods In: CORE Discussion Papers.
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2013Bayesian methods.(2013) In: Chapters.
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2012Computationally efficient inference procedures for vast dimensional realized covariance models In: CORE Discussion Papers.
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paper1
2013Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: CORE Discussion Papers RP.
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2012Forecasting long memory processes subject to structural breaks In: CORE Discussion Papers.
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